[R] Cox Proportional Hazard with missing covariate data

Philipp Rappold philipp.rappold at gmail.com
Tue May 5 14:08:19 CEST 2009

Dear friends,

I have used R for some time now and have a tricky question about the coxph-function: To sum it up, I am not sure whether I can use coxph in conjunction with missing covariate data in a model with time-variant covariates. The point is: I know how "old" every piece that I oberserve is, but do not have fully historical information about the corresponding covariates. Maybe you have some advice for me, although this problem might only be 70% R and 30% statistically-related. Here's a detailled explanation:

I want to analyze the effect of environmental effects (i.e.
temperature and humidity) on the lifetime of some wear-parts. The
study should be conducted on a yearly basis, meaning that I have
collected empirical data on every wearpart at the end of every year.

I have collected the following data:
- Status of the wear-part: Equals "0" if part is still alive, equals
"1" if part has "died" (my event variable)
- Environmental data: Temperature and humidity have been measured at
each of the wear-parts on a yearly basis (because each wear-part is at
a different location, I have different data for each wear-part)

I started collecting data between 2001 and 2007. In 2001, a vast
amount of of wearparts has already been in use. I DO KNOW for every
part how long it has been used (even if it was employed before 2001),
but I DO NOT have any information about environmental conditions like
temperature or humidity before 2001 (I call this semi-left-censored).
Of course, one could argue that I should simply exclude these parts
from my analysis, but I don't want to loose valuable information, also
because the amount of "new parts" that have been employed between 2001
and 2007 is rather small.

Additionally, I cannot make any assumption about the underlying
lifetime distribution. Therefore I have to use a non-parametrical
model for estimation (most likely cox).

>From an econometric perspective, is it possible to use Cox
Proportional Hazard model in this setting? As mentioned before, I have
time-variant covariates for each wearpart, as well as what I call
"semi-left-censored" data that I want to use. If not, what kind of
analysis would you suggest?

Thanks a lot for your great help, I really appreciate it.

All the best

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